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The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts

Author

Listed:
  • Filippo Altissimo

    (Bank of Italy, Research Department)

  • Domenico J. Marchetti

    () (Bank of Italy, Research Department)

  • Gian Paolo Oneto

    (ISTAT)

Abstract

This paper analyses the business cycle properties of 183 time series relevant to the Italian economy. We propose new monthly coincident and leading composite indicators for the Italian business cycle. On the methodological side, the study follows a schema for constructing cyclical indicators on a sound statistical basis, combining the use of traditional NBER methods with that of more recent techniques of cyclical analysis: A number of stylized facts of the Italian business cycle emerge. Among them, money and financial variables are found to lead the cycle, chronologically, by at least one year. US and UK cycles lead the Italian cycle by two to three quarters.

Suggested Citation

  • Filippo Altissimo & Domenico J. Marchetti & Gian Paolo Oneto, 2000. "The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 59(2), pages 147-220, September.
  • Handle: RePEc:gde:journl:gde_v59_n2_p147-220
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    Citations

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    Cited by:

    1. Giuseppe Marotta & Chiara Pederzoli & Costanza Torricelli, 2005. "Forward-looking estimation of default probabilities with Italian data," Heterogeneity and monetary policy 0504, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
    2. Luis Fernando Melo & Fabio H. Nieto & Carlos Esteban Posada & Yanneth Rocío Betancourt, 2001. "Un Índice Coincidente para la Actividad Económica Colombiana," BORRADORES DE ECONOMIA 003678, BANCO DE LA REPÚBLICA.
    3. Giancarlo Bruno & Marco Malgarini, 2002. "An Indicator of Economic Sentiment for the Italian Economy," ISAE Working Papers 28, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    4. Guido De Blasio, 2003. "Does Trade Credit Substitute Bank Credit? Evidence From Firm-Level Data," IMF Working Papers 03/166, International Monetary Fund.
    5. repec:spr:jbuscr:v:13:y:2017:i:1:d:10.1007_s41549-017-0013-x is not listed on IDEAS
    6. Luis Fernando Melo & Fabio Nieto & Mario Ramos V., 2003. "A Leading Index For The Colombian Economic Activity," BORRADORES DE ECONOMIA 001920, BANCO DE LA REPÚBLICA.
    7. Eugenio Gaiotti & Andrea Generale, 2002. "Does Monetary Policy Have Asymmetric Effects? A Look at the Investment Decisions of Italian Firms," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 61(1), pages 29-59, June.
    8. Riccardo Bonci & Francesco Columba, 2007. "The Effects Of Monetary Policy Shocks On Flow Of Funds:The Italian Case," Money Macro and Finance (MMF) Research Group Conference 2006 75, Money Macro and Finance Research Group.
    9. Marianna Brunetti & Costanza Torricelli, 2009. "Economic activity and recession probabilities: information content and predictive power of the term spread in Italy," Applied Economics, Taylor & Francis Journals, vol. 41(18), pages 2309-2322.
    10. Fabio H. Nieto & Luis Fernando Melo, 2001. "About a Coincident Index for the State of the Economy," BORRADORES DE ECONOMIA 001938, BANCO DE LA REPÚBLICA.
    11. Erich Battistin & Enrico Rettore & Ugo Trivellato, 2005. "Choosing among alternative classification criteria to measure the labour force state," IFS Working Papers W05/18, Institute for Fiscal Studies.
    12. repec:eee:riibaf:v:42:y:2017:i:c:p:242-248 is not listed on IDEAS

    More about this item

    Keywords

    business cycles; cyclical indicators; leading indicators; stylized facts;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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